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FORECASTING VOLATILITY


KNIGHT J., SATCHELL S.

wydawnictwo: BH, 2007, wydanie III

cena netto: 360.00 Twoja cena  342,00 zł + 5% vat - dodaj do koszyka

This new edition of Forecasting Volatility in the Financial Markets assumes that the reader has a firm grounding in the key principles and methods of understanding volatility measurement and builds on that knowledge to detail cutting-edge modelling and forecasting techniques. It provides a survey of ways to measure risk and define the different models of volatility and return. Editors John Knight and Stephen Satchell have brought together an impressive array of contributors who present research from their area of specialization related to volatility forecasting. Readers with an understanding of volatility measures and risk management strategies will benefit from this collection of up to date chapters on the latest techniques in forecasting volatility.

* Leading thinkers present newest research on volatility forecasting
*International authors cover a broad array of subjects related to volatility forecasting
*Assumes basic knowledge of volatility, financial mathematics, and modelling


Table of Contents 

List of contributors 
Preface to second edition 
Introduction 
1  Volatility modelling in finance  1
2  Stochastic volatility and option pricing  47
3  Modelling slippage: an application to the bund futures contract   97
4  Real trading volume and price action in the foreign exchange markets   117
5  Implied risk-neutral probability density functions from option prices: a central bank perspective  137
6  Hashing GARCH: a reassessment of volatility forecasting performance   168
7  Implied volatility forecasting: a comparison of different procedures including fractionally integrated models with applications to UK equity options   193
8  GARCH predictions and the predictions of option prices   226
9  Volatility forecasting in a tick data model  245
10  An econometric model of downside risk  251
11  Variations in the mean and volatility of stock returns around turning points of the business cycle  287
12  Long memory in stochastic volatility  307
13  GARCH processes - some exact results, some difficulties and a suggested remedy  321
14  Generating composite volatility forecasts with random factor betas   347
15  The information content of the FTSE100 index option implied volatility and its structural changes with links to loss aversion  366
  Index  399

432 pages, Paperback

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